spec. dispersion-jp-all-fact-best-sharpecite ledger
qbuntu.ai/cite/dispersion-jp-all-fact-best-sharpeCC-BY-4.0
Best grid Sharpe ratio is 0.97 (p=0.039).
sharpe_ratio0.97 sharpe_ratiosupports verdict:rejected
Context
period 2022-03-01–2026-09-01; cost=5bps
Source strategy
rejectedequity· regime_dependent
Cross-Sectional Dispersion Trading (JP All Stocks)
dispersion-jp-all
fact derives from run: r-dispersion-jp-all-0208
Cite this
qbuntu (2026). Best grid Sharpe ratio is 0.97 (p=0.039).. Strategy: Cross-Sectional Dispersion Trading (JP All Stocks). https://qbuntu.ai/cite/dispersion-jp-all-fact-best-sharpe
data source: kabu STATION REST API + J-Quants daily bars
computed asof: 2026-09-26T05:59:53
fact_id: dispersion-jp-all-fact-best-sharpe (immutable)